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Well, the old right click isn't so bad. Generally the user agent has its own configuration as to how to deal with files. A link to a .zip, .exe or .pdf file will usually trigger an automatic user agent query:

Save or Open?

But not always. Usually people who have changed this behavior know how to download such files if they want to. What type of file do you want folks to DL? I'll bet it is one that most of your users have linked to an application. Anyways, unless all your users are on high speed connections, it would be a courtesy to provide the file as a .zip, unless you think they can't deal with unzipping it.